Interpreting sovereign spreads

Eli M. Remolona · Michela Scatigna · Eliza Wu

47 citations0/0 files storedRePEc: Research Papers in Economics

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Sovereign spreads can be broken up into two components=the expected loss from default and the risk premium, with the latter reflecting how investors price the risk of unexpected losses. We show that the risk premium is often the larger part of the spread.

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References

2003Credit Risk : Pricing, Measurement, and Management 2004Is Default Event Risk Priced in Corporate Bonds?2007Determinants and Impact of Sovereign Credit Ratings 2004Are credit ratings procyclical?1996The Economic Content of Indicators of Developing Country Creditworthiness 2001Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 1986The Pure Theory of Country Risk 2012The Credit Spread Puzzle

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2016How do global investors differentiate between sovereign risks? The new normal versus the old 2015Sovereign defaults by currency denomination 2015Credit default swaps and sovereign debt markets 2019News sentiment and sovereign credit risk

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